Counterparty Credit Quantitative Analyst (Vice President)
Location(s): London, England, United Kingdom
GBP 85K-98K (estimate) Executive-level Full Time
Tasks
- Assess risk reward of model and business developments
- Build and support quantitative models for XVA and OCM
- Collaborate with quantitative analysis colleagues and trading desks
- Communicate analysis results clearly
- Develop analytics libraries for CVA and DVA pricing and risk management
- Develop pricing models using numerical valuation techniques
- Drive compliance with policies and escalating control issues
- Ensure model governance and adherence to code of conduct
- Implement Monte Carlo methods
- Solve partial differential equations for valuation
Perks/Benefits
- Employee assistance program
- Generous holiday allowance
- Hybrid work model
- Learning and development resources
- Paid parental leave
- Pension plan
- Private medical insurance
- Special employee discounts
Skills/Tech-stack
C++ | Differential Equations | Machine Learning | Market Data | Mathematical Finance | Monte Carlo | Monte Carlo Methods | Numerical Methods | Object-Oriented | Object-oriented design | Partial differential equations | Probability | Python | Software Design | Statistics
Education
N/A
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